Geodesic
Association and other forms of positive dependence for Feller evolution systems
Teoriâ veroâtnostej i ee primeneniâ, Tome 66 (2021) no. 2, pp. 369-391

Voir la notice de l'article provenant de la source Math-Net.Ru

We prove characterizations of positive dependence for a general class of time-inhomogeneous Markov processes called Feller evolution processes (FEPs) and for jump-FEPs. General FEPs can be analyzed through their time and state-space dependent (extended) generators. We will use the time and state-space dependent (extended) generators and time and state-space dependent Lévy measures to characterize the positive dependence of general FEPs and jump-FEPs, respectively. We conclude with applications of these results to additive processes, which are time-inhomogeneous Lévy processes, often arising as useful examples in financial modeling.
Mots-clés : association
Keywords: orthant dependence, Feller evolutions system, additive process, time-inhomogeneous Markov process, comparison of Markov processes. 
@article{TVP_2021_66_2_a7,
     author = {E. Tu},
     title = {Association and other forms of positive dependence for {Feller} evolution systems},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {369--391},
     publisher = {mathdoc},
     volume = {66},
     number = {2},
     year = {2021},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2021_66_2_a7/}
}
TY  - JOUR
AU  - E. Tu
TI  - Association and other forms of positive dependence for Feller evolution systems
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2021
SP  - 369
EP  - 391
VL  - 66
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2021_66_2_a7/
LA  - ru
ID  - TVP_2021_66_2_a7
ER  - 
%0 Journal Article
%A E. Tu
%T Association and other forms of positive dependence for Feller evolution systems
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2021
%P 369-391
%V 66
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2021_66_2_a7/
%G ru
%F TVP_2021_66_2_a7
E. Tu. Association and other forms of positive dependence for Feller evolution systems. Teoriâ veroâtnostej i ee primeneniâ, Tome 66 (2021) no. 2, pp. 369-391. http://geodesic.mathdoc.fr/item/TVP_2021_66_2_a7/